對沖基金之績效誘因契約的功能與影響

Abstract

基金經理人與投資人之間存在著資訊不對稱之代理問題。對沖基金中其特殊的績效誘因契約條款所提供的獎勵機制，能減少投資人與基金經理人所追求目標之不一致的情形，進而解決傳統之共同基金所存在的代理問題。並且其也具有篩選機制的功能，提供投資人更多資訊來辨別基金經理人其真實專業能力的好壞，進而選擇其能安心投資的基金。 現有對沖基金常見之績效誘因契約條款可大致分為四大類：(1)強制基金經理人之初始參與基金投資的比率，(2)基金經理人的基本管理費費率，(3)績效計算方式與績效分紅之比率，(4)以及懲罰條款與強制清算機制的設計。而本研究即在探討對沖基金之績效誘因契約其各種條款設計的目的與功能為何，並且它對基金經理人與投資人會造成何種的影響。在研究方法上，利用數值分析與蒙地卡羅模擬之方式探討在對沖基金績效誘因契約條款下經理人的投資行為、基金的投資績效、以及在扣除各種績效誘因條款所帶來之成本後，探討投資人的最終獲利情形。並且本研究利用賽局理論作為分析的基礎架構，來探討基金在資訊不對稱的環境下所遇到之問題，以及績效誘因契約所能提供的篩選機制功能。

Between fund manager and investors have agency problem of information asymmetry. The motivation system that the special incentive contract clause of the hedge fund provides, can reduce the situation of the target inconsistency that the investors and the fund manager pursue, then resolve the agency problem that the traditional mutual fund exists. Moreover, it also has the function of examination system, providing the investors more information to recognize the real ability of the fund manager. The incentive contract clause of the hedge fund can mostly be divided into the four major types:(1) The required ratio of manager’s share ownership (2) Basic management fee rate (3)The method to measure performance and the incentive fee rate (4)The clause of punishment and the design of liquidation system. This research is inquiring into the incentive contract of the hedge fund and its various purposes of clause design and function, and its influence to the fund manager and the investors. This research makes use of the numerical analysis method and Monte-Carlo simulation to investigate the manager’s investment behavior under the incentive contract clause of the hedge fund, investing performance, and the final profit after deducting the cost various clauses brings of the investors. This research by the game theory be foundation structure, discusses problems under the environment that information asymmetry, and the function of examination system incentive contract provides.